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Rust is a talented but troubled detective, dedicated to his work and renowned for his abilities, most notably his ability to get confessions from criminals. He carries an unusually large ledger which he uses to keep notes and sketches of crime scenes, earning him the nickname "The Tax Man" from his colleagues.

Rust is aloof; at one point his partner Martin Hart says that he "wasn't big on talking except when you wanted him to shut up." He seemingly prefers living by himself, and he presumably hasn't been able to sustain a relationship for longer than a few years. However, few details about his marriage to Claire Cohle are revealed. Rust is not prone to material desires and his apartment is bare, with only a simple bed and books on criminology. He suffers from insomnia, which may partially be a consequence of his past drug use. He has suffered from an alcohol addiction before the events of the series, but has managed to quit drinking during the first part of the series, although he occasionally drinks to numb the pain caused by losing his daughter. Later however, after the events of '02, he drinks regularly, one time stating that he spent most of the last decade "stone drunk".

Even though Rust prefers to stay out of other peoples business, Rust doesn't hesitate to show his disappointment and disgust towards Marty after he cheats on his wife, clearly disagreeing with his ways. At one time he visits Marty's house to mow his lawn when he is away, much to Marty's annoyance. Whether he did this with the intent of making Marty uneasy is unclear, but Marty clearly implies that he sees it as an invasion of his private life, and later accuses Rust of "creating tension". He seemingly enjoys eating dinner with Marty's family and talking with Marty's wife, Maggie Hart, whom he has a positive relationship with, for most of the series.

Rust was born in Texas, but later moved with his father to Alaska, where he spent most of his childhood. He later leaves Alaska and goes back to Texas, supposedly because he prefered the temperature and weather-conditions there. He went on to marry a woman named Claire. The two had a daughter, Sara Cohle, who was tragically killed in a car accident. The loss of his daughter quickly led to Cohle's divorce as well as his addiction to alcohol. Cohle transferred from robbery to narcotics, and eventually became addicted to cocaine, and possibly other narcotic substances. At some point during his time in narcotics, he killed a meth-head for injecting his infant daughter with crystal meth. The state attorney gave Cohle the choice of either going to prison for first-degree murder, or agreeing to be their deep undercover narco, for an unspecified period of time. Cohle was forced to spend four years undercover, and in February 1993 he killed three cartel members and was shot three times with a .25 caliber handgun. During his recovery from the gunshots as well as his substance addictions, he was committed to a mental hospital in Texas. Upon his release, he was offered retirement with full pension, but declined that offer in favor of transferring to a homicide division. His superiors then transferred him to Louisiana. In Louisiana, he lives alone and has no friends, family or relationships, only living for his work. He tries to remain sober, but occasionally fails to do so, mostly because of his grief for his daughter. Cohle is also prone to auditory and visual hallucinations, as a result of his substance-abuse during his days as an undercover narco.

Louisiana 1995, a young lady is found under a tree naked and wearing only a blindfold and a "crown" made of deer antlers, posed as if praying to the large solitary tree. A twig latticework, like a Cajun bird trap, is found beside her body. The woman is identified as Dora Kelly Lange, a former prostitute. Cohle is already convinced that this is not the killer's first victim, stating that it's too specific.

Cohle was partnered with Martin Hart in 1995. The two worked various cases, most prominently the Yellow King case, together until 2002, when Cohle had an affair with Martin's wife. The two had a fall-out and wouldn't speak again until 2012.

The two reconnected due to Rust's continuing pursuit of the Yellow King case. Rust convinces Marty to join him by insisting that Marty has a debt to the victims, and later by showing him the taping of the ritualistic murder of Marie Fontenot. The two eventually find their way to Errol Childress, the man behind the Dora Lange murder, the Lake Charles murder, and likely many others. Rust and Martin pursued Childress into "Carcosa", a series of tunnels filled with Cajun traps, childrens clothing, and most notably a shrine presumably dedicated to the fictional character "The Yellow King". Errol managed to wound both Cohle and Hart, but Rust managed to kill him with a shot to the head.

After healing up at the hospital, Rust informed Martin of his near-death experiences and him feeling a connection with his dead daughter, and also his father. Rust opened himself up to a new faith in life and, in the end, seemed to be optimistic about the future.